Bio

Adrian Walton is an Assistant Director in the Financial Markets Department at the Bank of Canada. His research focuses on how the rules and conventions that govern trading in financial assets affect market functioning, specifically in Canadian equity and fixed-income markets. 

Research Field(s): Applied Microeconomics Empirical Finance Market Microstructure

Staff research

Hedge funds and their trading strategies in the Government of Canada bond market

Sparks at Bank article Andreas Uthemann, Adrian Walton
Hedge funds are active in Canadian government bond markets and help improve market efficiency. But their trading strategies are not well understood. We offer insights into the range of strategies hedge funds use beyond the more commonly known cash-futures basis trade. We also explore the concentration of trading activity among a few large funds.
Content Type(s): Staff research, Sparks at Bank article Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation, Financial stability and systemic risk

Liquidity risks at Canadian life insurance companies

Staff analytical note 2024-7 Patrick Aldridge, Stephane Gignac, Rishi Vala, Adrian Walton
We examine how life insurers manage liquidity risks created by their business model. We find that Canadian life insurers did not face significant liquidity draws and continued their usual investment behaviour during the COVID-19 crisis and as interest rates increased in 2022.
Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, D47, D5, D53, G, G1, G12, G14, G2, G23 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk

Fixed-income dealing and central bank interventions

Staff analytical note 2022-9 David Cimon, Adrian Walton
We summarize the theoretical model of central bank asset purchases developed in Cimon and Walton (2022). The model helps us understand how asset purchases ease pressures on investment dealers to restore market conditions in a crisis.
Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G1, G10, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation

Potential netting benefits from expanded central clearing in Canada’s fixed-income market

Staff analytical note 2022-8 Jessie Ziqing Chen, Johannes Chen, Shamarthi Ghosh, Manu Pandey, Adrian Walton
We assess whether more central clearing would enhance the resilience of Canadian fixed-income markets. Our analysis estimates the potential benefits of balance sheet netting under scenarios where central clearing is expanded to new participants.
Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, G, G1, G12, G2, G21, G29 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures

Historical Data on Repurchase Agreements from the Canadian Depository for Securities

Technical report No. 121 Maxim Ralchenko, Adrian Walton
We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research.
Content Type(s): Staff research, Technical reports JEL Code(s): C, C5, C55, C8, C81, G, G1, G10 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods

Central Bank Liquidity Facilities and Market Making

Staff working paper 2022-9 David Cimon, Adrian Walton
We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers.
Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Monetary policy, Monetary policy tools and implementation

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Journal publications

Refereed journals

  • “Central bank liquidity facilities and market making” (with David Cimon), 2024, Journal of Banking & Finance
  • “Speed segmentation on exchanges: Competition for slow flow" (with Lisa Anderson, Emad Andrews, Baiju Devani, and Michael Mueller), 2022, Journal of Financial Markets
  • “Alternative futures for Government of Canada debt management" (with Corey Garriott, Sophie Lefebvre, Guillaume Nolin, and Francisco Rivadeneyra), 2020, Journal of Financial Economic Policy
  • “Retail Order Flow Segmentation” (with Corey Garriott), 2018, The Journal of Trading